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BE-333-6: Empirical Finance
Coursework 2
Instructions: This coursework assignment (research report) must be submitted electronically via FASER
by the due date and time. When submitting your coursework assignment, you must provide one
Microsoft Word or PDF file containing your written/text answers to the questions. In your answers to
the questions below, you should present your EViews equation estimation output as it would be in
published academic papers. (Examine the Fama-French (FF) 5- factor model paper, uploaded in the
coursework folder, to understand how to present the estimation outputs in tables. The approaches to
presentation are fairly standard.) Raw EViews output should be included only in an Appendix.
The report should not exceed 2000 words in length. It should have a clear introduction and a conclusion.
You should ensure that you have fully acknowledged the work of others in the body of the text and
include a full list of references for all articles, books and other sources (e.g. Internet sites) that have
been cited in the assignment. Coursework will be processed with plagiarism detection software. Marks
will be awarded for writing style and graphical presentation as well as content.
The data required for the coursework is contained in the excel file ` Coursework_2.xls’ in the coursework
section on Moodle. The file contains daily returns for FTSE100 from January 2000 to December 2019
that we will use to estimate and forecast the volatility of FTSE100.
Question 1 (10 points)
Consider the observations for the FTSE 100 stock index return series for the period ranging from 2000
to 2017. Test for ARCH effect the series of daily returns.